The decision comes as the Yemeni authorities tighten security around foreign diplomatic facilities after an al-Qaeda-linked group, the Organisation of Islamic Jihad, claimed responsibility for Wednesday's attack and threatened more.
The group vowed to continue attacks "against Western interests," Yemeni public figures and the Saudi embassy unless militants being held by Yemeni authorities were released.
It also called for the closure of the US and British missions in the Arabian peninsula republic.
State of alert
A Yemeni security source said on Thursday that authorities had rounded up 25 suspects over the attack, which was the second strike on the compound in six months, and the latest in a spate of attacks against Western interests and oil installations in impoverished Yemen.
The Yemeni interior ministry said on Saturday that the suspects were continuing to be interviewed in connection with the investigation.
A statement by the ministry added that "the different security services and elements had put in place a total state of alert" and that "security measures around diplomatic missions have been reinforced following terrorist threats."